Post #19 by weatherman on the Manlobbi's Descent board

Investment Strategies / Manlobbi's Descent

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very interesting take on re-balancing strikes a chord.
it seems the IV10 delta could be modified by historical correlation between any 2 assets, but if so, is there a maths-justified time period to use for the correlation?
if the correlation is historically high, then it seems only company\asset specific events (more likely catastrophic then euphoric) would result in exceeding a high delta threshold. i recall you have noted a few of these rebalancing notions related to brookfield and alibaba.

(since my first reading of your descent a few years back, there is no doubt that self-assessed 'steadfastness' will always be the main struggle)

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